Parkinson's disease (PD) is a common, disabling, neurodegenerative condition, and the disease prevalence is expected to increase worldwide in the next few decades. Symptomatic therapy remains unsatisfactory, and greatly needed neuroprotective therapies have not been successfully developed so far. Physical exercise (PE) has been associated with a lower risk of developing a neurodegenerative disease. The literature has been searched, and results have been systematized and interpreted with regard to the effects of PE in PD. Published data show the following: 1) PE has been associated with a lower risk of developing PD; 2) PE has been shown to improve disease symptoms, mobility, balance, gait and quality of life (in this regard, walking training, tai-chi and tango dancing have demonstrated the highest level of evidence of efficacy); and 3) neuroprotective effects from PE could be expected in PD, although this has been suggested in animal studies only. Further research on this topic should be encouraged. Multidisciplinary cooperation between neurologists, sports physicians and researchers is paramount.